Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Dec 15 (3D) | Dec 16 (4D) | Dec 17 (5D) | Dec 18 (6D) | Dec 19 (7D) | Dec 22 (10D) | Dec 23 (11D) | Dec 24 (12D) | Dec 25 (13D) | Dec 26 (14D) | Jan 02 (21D) | Jan 09 (28D) | Jan 16 (35D) | Jan 23 (42D) | Jan 30 (49D) | Feb 06 (56D) | Feb 13 (63D) | Feb 20 (70D) | Feb 27 (77D) | Mar 06 (84D) | Mar 13 (91D) | Mar 20 (98D) | Mar 27 (105D) | Apr 03 (112D) | Apr 10 (119D) | Apr 17 (126D) | Apr 24 (133D) | May 01 (140D) | May 08 (147D) | May 15 (154D) | May 22 (161D) | May 29 (168D) | Jun 05 (175D) | Jun 12 (182D) | Jun 19 (189D) | Jun 26 (196D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 672.00 | 670.491 | 669.161 | 667.958 | 666.852 | 663.942 | 663.072 | 662.241 | 661.444 | 660.677 | 655.939 | 651.944 | 648.425 | 645.243 | 642.317 | 639.594 | 637.036 | 634.617 | 632.316 | 630.118 | 628.009 | 625.98 | 624.022 | 622.128 | 620.293 | 618.511 | 616.778 | 615.09 | 613.443 | 611.836 | 610.264 | 608.727 | 607.221 | 605.744 | 604.296 | 602.875 |
| upper | 691.52 | 693.029 | 694.359 | 695.562 | 696.668 | 699.578 | 700.448 | 701.279 | 702.076 | 702.843 | 707.581 | 711.576 | 715.095 | 718.277 | 721.203 | 723.926 | 726.484 | 728.903 | 731.204 | 733.402 | 735.511 | 737.54 | 739.498 | 741.392 | 743.227 | 745.009 | 746.742 | 748.43 | 750.077 | 751.684 | 753.256 | 754.793 | 756.299 | 757.776 | 759.224 | 760.645 |
| expected move | 9.76 | 11.269 | 12.599 | 13.802 | 14.908 | 17.818 | 18.688 | 19.519 | 20.316 | 21.083 | 25.821 | 29.816 | 33.335 | 36.517 | 39.443 | 42.166 | 44.724 | 47.143 | 49.444 | 51.642 | 53.751 | 55.78 | 57.738 | 59.632 | 61.467 | 63.249 | 64.982 | 66.67 | 68.317 | 69.924 | 71.496 | 73.033 | 74.539 | 76.016 | 77.464 | 78.885 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
